首页 | 本学科首页   官方微博 | 高级检索  
     


Coherent and convex risk measures for portfolios with applications
Affiliation:School of Mathematics and Statistics, Wuhan University, Wuhan, Hubei 430072, People’s Republic of China;Division of Mathematics and Informational Statistics, Wonkwang University, Jeonbuk, 54358, Republic of Korea;Korteweg–de Vries Institute for Mathematics, University of Amsterdam, Science Park 904, 1098 XH Amsterdam, The Netherlands;School of Studies in Statistics, Vikram University, Ujjain, 456010, India;Chair in Statistics and Econometrics, Faculty for Economic and Social Sciences, University of Rostock, 18051 Rostock, Germany;Department of Mathematics and Statistics, 4700 Keele Street, York University, M3J 1P3, Canada
Abstract:In this paper, we propose a framework of risk measures for portfolio vectors, which is an extension of the ones introduced by Burgert and Rüschendorf (2006) and Rüschendorf (2013). Representation results for coherent and convex risk measures for portfolio vectors are provided. Applications to the multi-period risk measures are also given.
Keywords:Coherent risk measure  Convex risk measure  Risk measures for portfolio vectors  Multi-period risk measure  Product space
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号